Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0083
Annualized Std Dev 0.2606
Annualized Sharpe (Rf=0%) 0.0318

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1862
Quartile 1 -0.0071
Median 0.0000
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0069
Maximum 0.3354
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0164
Skewness 1.8051
Kurtosis 56.5119

Downside Risk

Close
Semi Deviation 0.0111
Gain Deviation 0.0138
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0158
Downside Deviation (Rf=0%) 0.0111
Downside Deviation (0%) 0.0111
Maximum Drawdown 0.6405
Historical VaR (95%) -0.0211
Historical ES (95%) -0.0356
Modified VaR (95%) NA
Modified ES (95%) NA
From Trough To Depth Length To Trough Recovery
2007-02-08 2009-03-09 NA -0.6405 3554 524 NA
1999-02-23 2000-04-12 2001-08-24 -0.3181 633 289 344
2001-08-28 2002-12-11 2004-08-25 -0.3016 750 322 428
2005-02-15 2005-03-09 2005-06-28 -0.1254 93 16 77
2005-07-19 2005-10-06 2006-01-13 -0.1123 125 57 68

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.6 -0.2 0.5 -0.3 -0.6 -0.3 -1.1 -1.1 -1.5 -3.9 0 2.4 -4.5
2000 0.6 0.6 -1.9 4 -2 4.5 -1.4 -0.5 -0.5 0 1.3 -1.4 3
2001 0 1.1 0.6 1.7 -0.2 1 -1.4 0 -1.3 0.2 -0.9 3 3.7
2002 0.5 0.2 0.4 -1.1 3.8 -0.1 -0.9 -1.5 -0.8 0.2 0.3 2 2.9
2003 -0.2 0 0.2 -1.4 0.2 -0.1 -1.9 -0.6 -1.4 -1.1 -0.2 0.6 -5.8
2004 -3.2 -0.4 -2.2 1.3 -0.1 -0.4 1 0.7 -0.7 1.5 -0.2 -0.5 -3.2
2005 0.5 -2.3 2.6 -1 -1.4 -0.8 0 -0.1 -1.6 1.1 -1.5 -0.5 -4.9
2006 0 -0.8 -0.5 0.3 -0.8 -0.2 -0.9 0.5 0.3 -0.4 -0.4 -0.9 -3.8
2007 0.2 1.7 -1.1 0.5 0.2 -0.6 0.3 -0.5 1.1 -1.5 3.2 0 3.4
2008 -1.6 -0.1 0.4 -4.4 -0.6 -1.7 -2.5 0.4 0.6 5.3 -4.6 -1.2 -10.1
2009 -0.3 -3 -0.5 3 2.5 -6.2 -2 -0.7 0 0 0.2 0.4 -6.8
2010 -1.9 1.1 -0.6 -1.2 -0.3 -0.2 2.4 0.7 0.3 -1.6 -2.3 -0.8 -4.3
2011 2.8 -3.6 -0.7 0.7 0.5 0.5 1.2 0 2.1 -1.8 0.2 -0.1 1.5
2012 0.6 2.4 0.1 0.1 -0.3 0.3 -0.3 -0.5 0.1 1.8 -1.6 1.1 3.8
2013 0.5 0.2 -1.1 0.2 -0.7 0.7 -2.7 -0.1 0.5 0.2 1.3 -1.3 -2.4
2014 -0.6 -0.9 1.5 0.3 -1 0.1 -2.4 -1.3 0.4 -0.1 0.3 0.6 -3
2015 0 0.2 0.4 -1.2 0.3 0 1.1 -0.2 0.2 0.1 2 -1.8 1.1
2016 -0.1 -0.4 0.6 -0.7 0.3 2.2 0 2.4 -0.5 0.5 -0.3 -0.9 3.2
2017 0.2 -1.1 -0.7 1.5 -0.1 -0.4 -0.3 -0.1 -1.3 -1.5 1.1 -0.5 -3.1
2018 0 0.6 0.5 0 -0.1 -0.7 -0.7 0 0.8 0.6 0.5 -0.8 0.7
2019 0.5 -0.5 0.6 0.3 -1.7 0.8 0.9 -0.2 0.2 -1.1 -1.5 0.6 -1.2
2020 1.1 -1.5 2.9 -5 4.6 -1 -2.6 -0.8 -1.2 -1.7 0.5 1.3 -3.7
2021 0.8 -0.4 0 NA NA NA NA NA NA NA NA NA 0.3

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart